Existence of Equilibrium in Large Double Auctions
We show the existence of a pure strategy, symmetric, increasing equilibrium in dou- ble auction markets with correlated, conditionally independent private values and many participants. The equilibrium we ï¬ nd is arbitrarily close to fully revealing as the market size grows. Our results provide strategic foundations for price-taking behavior in large markets.
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|Date of creation:||16 Nov 2010|
|Date of revision:|
|Publication status:||Published in Journal of Economic Theory, March 2007, vol. 133 no. 1, pp. 550-567|
|Contact details of provider:|| Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070|
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Web page: http://www.econ.iastate.edu
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- Mark A. Satterthwaite & Steven R. Williams, 1989. "The Rate of Convergence to Efficiency in the Buyer's Bid Double Auction as the Market Becomes Large," Review of Economic Studies, Oxford University Press, vol. 56(4), pages 477-498.
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Levine's Working Paper Archive
666156000000000329, David K. Levine.
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